Implementation of dynamic principal component analysis (DPCA), simulation of VAR and VMA processes and frequency domain tools. These frequency domain methods for dimensionality reduction of multivariate time series were introduced by David Brillinger in his book Time Series (1974). We follow implementation guidelines as described in Hormann, Kidzinski and Hallin (2016), Dynamic Functional Principal Component <doi:10.1111/rssb.12076>.
Version: 2.0.5 Depends: R (≥ 2.15.0), mvtnorm, stats, graphics, base, matrixcalc, utils Suggests: fda, MASS, MARSS, testthat (≥ 3.0.0) Published: 2024-04-06 DOI: 10.32614/CRAN.package.freqdom Author: Hormann S., Kidzinski L. Maintainer: Kidzinski L. <lukasz.kidzinski at stanford.edu> License: GPL-3 NeedsCompilation: no In views: FunctionalData, TimeSeries CRAN checks: freqdom results Documentation: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=freqdom to link to this page.
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